Time series are data observed over time (either in continuous time or at discrete time periods).

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Critical values for Dickey-Fuller and Engle-Granger tests

I have two time series $\{X_t\}$ and $\{Y_t\}$ both of which contain thousands and sample data and I would like to test whether their stationarity and whether they are cointegrated. I plotted a ...
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74 views

Simple question about Ornstein-Uhlenbeck process

My question comes from this paper. The picture bellow provides a summary of the equations. Suppose prices of two stocks satisfy (2.1) SDE. Then X(t) is expressed as (2.2) and can be modeled with as ...
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10 views

periodicity within Signal [closed]

I am actually measuring the current of a dc motor, it takes values between, and I want to be able to find periodic peaks within my signal. My motor is connected to a spindel, the goal is to detect ...
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31 views

Basic question on E-views

I ask a question about E-views. Is the P-value in the picture less than 0.05 or greater than 0.05? I'm confused because of the presence of the sign '<' in front of 0.10. Please help mee. Thank you. ...
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19 views

8 variables for 12 months. Sigmaplot

I have measeured 8 variables for 12 months. n = 5-20. So, now I have mean, STDEV, SEM and n for those variables. I have trying to show relationship within those variables and among months. So, I ...
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17 views

Multinomial logit / time-series fixed effects / multivariate regression: Which one to use in this case?

Friends, As part of a larger study, we have collected a wealth of data on the interactions customers engage in when buying and using a service. Particularly, we have distinguished this process into ...
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16 views

Statistical test between pairs of values recorded by human and machine inorder to find the agreement between them

I have a set of independent values (which are subjective) recorded based on both human observation and machine recorded ones. At this point I want to ask serval questions like what is the agreement ...
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9 views

forecasting with ratio

i have daily data about revenue and number of push notification sends. I am trying to predict revenue/sends by day. there is a day of week effect also and days may have different sends. For example ...
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11 views

Do I still need ergodicity if I have multiple/infinite time series of the same data generating process?

The main reason we need ergodicity (and therefore stationarity) is, as Shalizi puts it: The ergodic theorem is important, because it tells us that a single long time series becomes ...
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19 views

Optim error training ARIMA model in R [duplicate]

I have the code below which trains ARIMA models for a range of order combinations. I'm getting the error below in the step training the ARIMA models. The code worked just fine with the ...
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22 views

MAPE vs. MAE for forecast evaluation [duplicate]

If you are trying to judge how well a forecasted model is doing, say like the rolling forecast example from Hyndman's blog, is MAPE a better choice than MAE? Are there reasons to chose mape or mae ...
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32 views

Filtering sudden peaks with its rolling mean

I have a 10minutes wind speed time series which has several high/low sudden peaks that are out of the general tendency of the series and its sorrounding neighbors. While searching for an automatic ...
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6 views

Converting time series into vector [migrated]

I am looking for an approach to convert a time series data into vectors. An example of what I am trying to achieve is given below. ...
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19 views

Showing that a process is autoregressive

Consider a sequence $(Z_t)$ of i.i.d. standard normal variables and real numbers $\alpha > 0$ and $\theta \in (0,\frac{1}{3\sqrt{3}})$. Let $X_t = \sigma_tZ_t$ for $\sigma_t^2$ defined by ...
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28 views

Optimal block length for block bootstrap with multivariate time series

I've got a multivariate time series $\mathbf{X}_t$, where $t$ is time and there are $p>1$ columns of $\mathbf{X}_t$. There is autocorrelation in the data. I'm interested in various functions of ...
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2answers
52 views

R auto.arima with intervention: intervention only affects one point

I have a model fitted with auto.arima, the model is ARIMA(0,1,0)x(0,1,0)[6] with seasonal period 6. The data is bi-monthly so there is an annual seasonality. There ...
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12 views

Analyzing series of events, controlling lengths

(Excuse me for terminological problems. After I tried to find the solution, I started looking for at least the right names for the concepts I use, but I failed, as the simple descriptions I tried to ...
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11 views

MODWT Wavelet Transform Matrix

I am working through the calculations for an MODWT transform. In order to visualise it, could someone show me what say the $W_1$ 8x8 matrix looks like. For the first level of a d4 wavelet, I have: ...
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1answer
13 views

DCC-GARCH: selection of error distribution and extraction of volatility decay

I am in a hesitation of detecting which indicators from maximum likelihood (ML) estimates of the Gaussian DCC model tell the volatility parameters' decaying. Another question is, how to know which ...
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19 views

How to detect a relatively small level shift(leakage) in an hourly water flux time series in an area?

Background I'm working on a project which aims to use the history data about a water flux to detect whether there is a leakage happened. The data is hourly collected and among about 4 months. I've ...
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1answer
24 views

Estimate the paramters of the simplest multiplicative error model

I am trying to implement the simplest multiplicative error model possible, to understand how it works. MEMs are time series model (introduced by Robert Engle), where instead of the components being ...
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1answer
27 views

Performance of Logistic Regression with time

I am building a predictive model using logistic regression to predict if an applicant should be given a credit product based on their telecommunication data of the previous eight months postpaid ...
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1answer
47 views

Fitting Methods in Arima

Could someone please explain the differences between the 3 fitting methods, method = c("CSS-ML", "ML", "CSS"), in Arima? If I run the code below I get an error message, but if I specify method="ML" ...
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32 views

ARMA when ARIMA should be used

(Note: I am taking a first course in time series -- correct me where I am wrong.) What happens when we fit an ARMA model to a time series when a differenced model (ARIMA with nontrivial $d$), should ...
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37 views

Lack of independence - how to analyze data from a time-series that are spatially correlated?

I am dealing with a species distribution. From aerial imagery, the species' presence has been assessed at specific locations by identifying the presence/absence of the species of interest under 9500 ...
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16 views

How to control serially correlated independent variables?

I'm interested in studying the impact of one variable (e.g., R&D expense at year T) on future firm performance (e.g., Sales in year T+5), I know it's incorrect to specify the following model: ...
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7 views

Weekly Time Series Detrend

I have weekly time series data that has a unit root problem. When i include a trend (in DF), the unit root is gone. This is 10 years worth of data, with gaps, and there are nearly 400 weeks. My idea ...
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13 views

How are datasets labelled for SVM classifier testing?

I am working on a time-series of stock prices, and want to try an SVM classifier based on technical analysis indicators (such as macd, rsi etc.) to predict whether the market situation is bullish or ...
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28 views

A 'semi random' AR model

Let $\phi$ and $\psi$ be two sets of AR model parameters. Let $(Y_n, 0\leq n\leq N)$ be a time sequence, and let $T\subset [0,1,...,N]$ be a set of times. The time series is defined as follows: ...
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28 views

Single prediction vs. summing more granular n-step ahead predictions

Say I want to predict the total rainfall for the next 365 days based on a set of predictors and daily historical observations. I could build a model that predicts annual rainfall and make a single ...
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1answer
53 views

Choosing the maximum lag length in the augmented Dickey-Fuller test

I have a question regarding how to choose the maximum lag length in the augmented Dickey-Fuller test using the "urca" package in R. I want to perform the ADF test on the daily price of a stock index ...
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10 views

'Level' still seems periodic after Season Decomposition

I've used tbats for this transformation: Exponential smoothing state space model with Box-Cox transformation, ARMA errors, Trend and Seasonal components My ...
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24 views

How to create training set for uni-variate prediction using SVM?

I am new to R and statistics. I have a problem related to the prediction: I want to predict a univariate time series using SVM, but I do not know how to construct the training set. what I want is that ...
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70 views

Predictions from BSTS model (in R) are failing completely

After reading this blog post about Bayesian structural time series models, I wanted to look at implementing this in the context of a problem I'd previously used ARIMA for. I have some data with some ...
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14 views

How to measure the impact of a promotion on the sales?

I would like to measure the impact of a promotional campain on the sales evoltion. The problem I am facing is the seasonality of the sales; let me expalin I have a very seasonal sales evolution ...
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20 views

What is Ideal Point Error (IPE)?

I am working on a rainfall forecasting study where I aim to compare my results against observed values or any other model. I have been asked to develop a new performance measurement which is Ideal ...
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23 views

Reg-Arima fitted estimates more flexible than forecast

I am fitting a regression model with ARMA errors, and comparing its fitted and forecasted values with a linear regression. I am wondering why a reg-ARMA appears to have a much better fitted estimate ...
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41 views

More effective seasonal adjustment to time series data?

I am trying to predict surface temperature using solar energy. I have 3650 daily averages for both variables. The plots of both are below: I attempt to seasonally adjust with a periodic ...
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11 views

Testing for spatial autocorrelation in residuals - time series

I have a ~25 year dataset of annual count of species abundance in several traps. Within a year, the abundance in a trap might be dependent on the abundance in another trap. I want to test the effect ...
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64 views

Is it possible to do a time series analysis with more than one explanatory variable?

I am working on a project, and I am absolutely new to forecasting and not so strong in statistics. I have an employee data for the last 7 years, along with the other variables like economic growth, ...
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14 views

Nonstationarity of interpolated time series

I have a time series, which is monthly GDP of an economy. I had created it using Denton Cholette method of interpolation by using semi-annual data. The problem is that this series is nonstationary. ...
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141 views

Random forest for forecasting univariate time series

I read few articles on random forest and its implementation in various fields. But I hardly found any literature on its implementation on forecasting univariate time series. Can it be used for ...
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24 views

Change from baseline mixed effects models

I am trying to analyze a study that has three treatment groups and the measurements are conducted on the same subjects over time. The first time point is a baseline measurement and then there are 7 ...
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1answer
37 views

How is the first residual calculated in a fitted AR(1) model?

I am trying to figure out how the first residual is calculated in an AR(1) model. It's easy to generate all of the other residuals, but I have no idea how r calculates the first one. Here is an ...
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23 views

Friedman's test or Monte Carlo?

I have two time-series data sets of the same five experiments. That makes two 5 X 7 matrices where the row is the experiment and the column is the day, and each matrix comes from a different ...
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32 views

How to analyze dyadic repeated measures with categorical moderation?

I want to test the effects of the emotions expressed in private online chats between males and females (dyadic chats) on the female's satisfaction from the chat. And to test how some factors may ...
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1answer
39 views

Selecting ARIMA Order using Rolling Forecast

I'm wondering if a rolling forecast technique like the ones mentioned in Rob Hyndman's blogs, and the example below, could be used to select the order for an ARIMA model? In the examples I've looked ...
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33 views

Linear least squares regression with a smoothness penalty vs linear regression with ARIMA errors

I am about to choose between the two options mentioned in the title and I am not really sure what to pick. As a first option, we have classical linear regression plus a smoothness penalty, i.e., ...
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167 views

How would I interpret this correlogram from EViews?

This is a correlogram on stock market data generated in EViews. How would I interpret it, in regards to AR and MA? Also, why are all my p-values 0? I would assume they wouldn't be as stock markets ...
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19 views

correlation of two unequal spaced time series

I have two datasets. The nature of data is similar to time series but with exception that they are not using equal spacing between every two consecutive measurements. However the records on particular ...